

    \filetitle{chowlin}{Chow-Lin distribution of low-frequency observations over higher-frequency periods}{tseries/chowlin}

	\paragraph{Syntax}

\begin{verbatim}
[Y2,B,RHO,U1,U2] = chowlin(Y1,X2)
[Y2,B,RHO,U1,U2] = chowlin(Y1,X2,Range,...)
\end{verbatim}

\paragraph{Input arguments}

\begin{itemize}
\item
  \texttt{Y1} {[} tseries {]} - Low-frequency input time series that
  will be distributed over higher-frequency observations.
\item
  \texttt{X2} {[} tseries {]} - Time series with regressors used to
  distribute the input data.
\item
  \texttt{Range} {[} numeric {]} - Low-frequency date range on which the
  distribution will be computed.
\end{itemize}

\paragraph{Output arguments}

\begin{itemize}
\item
  \texttt{Y2} {[} tseries {]} - Output data distributed with higher
  frequency.
\item
  \texttt{B} {[} numeric {]} - Vector of regression coefficients.
\item
  \texttt{RHO} {[} numeric {]} - Actually used autocorrelation
  coefficient in the residuals.
\item
  \texttt{U1} {[} tseries {]} - Low-frequency regression residuals.
\item
  \texttt{U2} {[} tseries {]} - Higher-frequency regression residuals.
\end{itemize}

\paragraph{Options}

\begin{itemize}
\item
  \texttt{\textquotesingle{}constant=\textquotesingle{}} {[}
  \emph{\texttt{true}} \textbar{} \texttt{false} {]} - Include a
  constant term in the regression.
\item
  \texttt{\textquotesingle{}log=\textquotesingle{}} {[} \texttt{true}
  \textbar{} \emph{\texttt{false}} {]} - Logarithmise the data before
  distribution, de-logarithmise afterwards.
\item
  \texttt{\textquotesingle{}ngrid=\textquotesingle{}} {[} numeric
  \textbar{} \emph{\texttt{200}} {]} - Number of grid search points for
  finding autocorrelation coefficient for higher-frequency residuals.
\item
  \texttt{\textquotesingle{}rho=\textquotesingle{}} {[}
  \emph{\texttt{\textquotesingle{}estimate\textquotesingle{}}}
  \textbar{} \texttt{\textquotesingle{}positive\textquotesingle{}}
  \textbar{} \texttt{\textquotesingle{}negative\textquotesingle{}}
  \textbar{} numeric {]} - How to determine the autocorrelation
  coefficient for higher-frequency residuals.
\item
  \texttt{\textquotesingle{}timeTrend=\textquotesingle{}} {[}
  \texttt{true} \textbar{} \emph{\texttt{false}} {]} - Include a time
  trend in the regression.
\end{itemize}

\paragraph{Description}

Chow,G.C., and A.Lin (1971). Best Linear Unbiased Interpolation,
Distribution and Extrapolation of Time Series by Related Times Series.
Review of Economics and Statistics, 53, pp.~372-75.

See also Appendix 2 in Robertson, J.C., and E.W.Tallman (1999). Vector
Autoregressions: Forecasting and Reality. FRB Atlanta Economic Review,
1st Quarter 1999, pp.4-17.

\paragraph{Example}


